Details about Mattias Villani

Access statistics for papers by Mattias Villani.

Last updated 2013-01-16. Update your information in the RePEc Author Service.

Short-id: pvi83

Working Papers

2011

1. Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2010

2. Bayesian Inference in Structural Second-Price common Value Auctions
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
   See also Journal Article in Journal of Business & Economic Statistics (2011)
3. Modeling Conditional Densities Using Finite Smooth Mixtures
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2009

4. Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (1)
5. Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
   See also Journal Article in International Journal of Forecasting (2010)

2007

6. Evaluating An Estimated New Keynesian Small Open Economy Model
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (15)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (16)
   See also Journal Article in Journal of Economic Dynamics and Control (2008)
7. Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (2)

2006

8. Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (13)
   Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) View citations (9)
9. Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (26)
   See also Journal Article in International Journal of Central Banking (2007)

2005

10. Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (3)
11. Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (41)
    See also Journal Article in Journal of International Economics (2007)
12. Bayesian Inference of General Linear Restrictions on the Cointegration Space
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
13. Bayesian approaches to cointegratrion
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations (1)
14. Inference in Vector Autoregressive Models with an Informative Prior on the Steady State
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (8)

2004

15. A Bayesian Approach to Modelling Graphical Vector Autoregressions
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
    See also Journal Article in Journal of Time Series Analysis (2006)
16. The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (2)

2003

17. Bayes Estimators of the Cointegration Space
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
18. Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (11)
    Also in Working Paper Series, European Central Bank (2003) View citations (7)

2000

19. Panel Regression with Unobserved Classes
    Working Paper Series in Economics and Finance, Stockholm School of Economics

1999

20. Bayesian Prediction with a Cointegrated Vector Autoregression
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (1)

Journal Articles

2012

1. Generalized smooth finite mixtures
   Journal of Econometrics, 2012, 171, (2), 121-133

2011

2. Bayesian Inference in Structural Second-Price Common Value Auctions
   Journal of Business & Economic Statistics, 2011, 29, (3), 382-396
   See also Working Paper (2010)

2010

3. Forecasting macroeconomic time series with locally adaptive signal extraction
   International Journal of Forecasting, 2010, 26, (2), 312-325 View citations (4)
   See also Working Paper (2009)

2009

4. Regression density estimation using smooth adaptive Gaussian mixtures
   Journal of Econometrics, 2009, 153, (2), 155-173
5. Steady-state priors for vector autoregressions
   Journal of Applied Econometrics, 2009, 24, (4), 630-650 View citations (25)

2008

6. EMPIRICAL PROPERTIES OF CLOSED- AND OPEN-ECONOMY DSGE MODELS OF THE EURO AREA
   Macroeconomic Dynamics, 2008, 12, (S1), 2-19 View citations (11)
7. Evaluating an estimated new Keynesian small open economy model
   Journal of Economic Dynamics and Control, 2008, 32, (8), 2690-2721 View citations (43)
   See also Working Paper (2007)

2007

8. Bayesian Analysis of DSGE Models—Some Comments
   Econometric Reviews, 2007, 26, (2-4), 173-185
9. Bayesian estimation of an open economy DSGE model with incomplete pass-through
   Journal of International Economics, 2007, 72, (2), 481-511 View citations (162)
   See also Working Paper (2005)
10. Forecasting Performance of an Open Economy DSGE Model
    Econometric Reviews, 2007, 26, (2-4), 289-328 View citations (20)
11. Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
    International Journal of Central Banking, 2007, 3, (4), 111-144 View citations (24)
    See also Working Paper (2006)

2006

12. A Bayesian Approach to Modelling Graphical Vector Autoregressions
    Journal of Time Series Analysis, 2006, 27, (1), 141-156
    See also Working Paper (2004)
13. Bayesian point estimation of the cointegration space
    Journal of Econometrics, 2006, 134, (2), 645-664 View citations (3)

2005

14. An estimated New Keynesian small open economy model
    Proceedings, 2005 View citations (26)
15. Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open-Economy Model
    International Finance, 2005, 8, (3), 509-544 View citations (5)
16. BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
    Econometric Theory, 2005, 21, (02), 326-357 View citations (10)
17. The Role of Sticky Prices in an Open Economy DSGE Model: A Bayesian Investigation
    Journal of the European Economic Association, 2005, 3, (2-3), 444-457 View citations (12)

2004

18. Bayesian assessment of dimensionality in reduced rank regression
    Statistica Neerlandica, 2004, 58, (3), 255-270 View citations (1)

2001

19. A distance measure between cointegration spaces
    Economics Letters, 2001, 70, (1), 21-27
20. Bayesian prediction with cointegrated vector autoregressions
    International Journal of Forecasting, 2001, 17, (4), 585-605 View citations (5)